Arbitrage Theory in Continuous Time, 2/e (Hardcover)

The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sounds mathematical principles with economic applications. Concentrating on the probabilistics theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises and suggests further reading in each chapter. In this substantially extended new edition, Bjork has added separate and complete chapters on measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

這本受歡迎的介紹金融背後數學基礎的經典著作的第二版，繼續將嚴謹的數學原理與經濟應用相結合。專注於金融衍生品的連續套利定價的概率論，包括隨機最優控制理論和默頓的基金分離理論，本書適合研究生閱讀，結合了必要的數學背景和堅實的經濟重點。每個新技術都有解答的例子，每章都有大量練習題和進一步閱讀建議。在這個大幅擴展的新版中，Bjork增加了關於測度論、概率論、Girsanov變換、LIBOR和掉期市場模型以及鞅表示的獨立完整章節，提供了兩種套利定價的完整方法：經典的Delta對沖和現代的鞅方法。高級研究領域明確標記，以幫助學生和教師根據自己的需求使用本書。